Some stylized facts of returns in the foreign exchange and stock markets in Peru
AbstractSome stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality is applied to these financial returns. Dynamic correlations and different kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal different sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normality. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.
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Bibliographic InfoPaper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2010-017.
Date of creation: Dec 2010
Date of revision:
Non-Normal Distributions; Stock Market Returns; Foreign Exchange Market Returns.;
Other versions of this item:
- Alberto Humala & Gabriel Rodriguez, 2013. "Some stylized facts of return in the foreign exchange and stock markets in Peru," Studies in Economics and Finance, Emerald Group Publishing, vol. 30(2), pages 139-158, April.
- Alberto Humala & Gabriel Rodriguez, 2011. "Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru," Documentos de Trabajo 2011-325, Departamento de Economía - Pontificia Universidad Católica del Perú.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091, December.
- Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, issue 62, pages 109-126.
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